Bayer, ChristianHoel, HakonVon Schwerin, ErikTempone, Raul2014-06-232014-06-232014-06-23201410.1137/130911433https://infoscience.epfl.ch/handle/20.500.14299/104652WOS:000335817600024We consider the setting of estimating the mean of a random variable by a sequential stopping rule Monte Carlo (MC) method. The performance of a typical second moment based sequential stopping rule MC method is shown to be unreliable in such settings both by numerical examples and through analysis. By analysis and approximations, we construct a higher moment based stopping rule which is shown in numerical examples to perform more reliably and only slightly less efficiently than the second moment based stopping rule.Monte Carlo methodsoptimal stoppingsequential stopping rulesnonasymptotictext::journal::journal article::research article